CME eMini Russell 2000 Future September 2008
| Trading Metrics calculated at close of trading on 21-Aug-2008 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
20-Aug-2008 |
21-Aug-2008 |
Change |
Change % |
Previous Week |
| Open |
730.3 |
731.2 |
0.9 |
0.1% |
731.6 |
| High |
739.6 |
732.5 |
-7.1 |
-1.0% |
764.1 |
| Low |
723.8 |
721.6 |
-2.2 |
-0.3% |
730.5 |
| Close |
731.7 |
722.6 |
-9.1 |
-1.2% |
754.7 |
| Range |
15.8 |
10.9 |
-4.9 |
-31.0% |
33.6 |
| ATR |
17.9 |
17.4 |
-0.5 |
-2.8% |
0.0 |
| Volume |
224,808 |
211,020 |
-13,788 |
-6.1% |
1,236,638 |
|
| Daily Pivots for day following 21-Aug-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
758.3 |
751.3 |
728.6 |
|
| R3 |
747.4 |
740.4 |
725.6 |
|
| R2 |
736.5 |
736.5 |
724.6 |
|
| R1 |
729.5 |
729.5 |
723.6 |
727.6 |
| PP |
725.6 |
725.6 |
725.6 |
724.6 |
| S1 |
718.6 |
718.6 |
721.6 |
716.7 |
| S2 |
714.7 |
714.7 |
720.6 |
|
| S3 |
703.8 |
707.7 |
719.6 |
|
| S4 |
692.9 |
696.8 |
716.6 |
|
|
| Weekly Pivots for week ending 15-Aug-2008 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
850.6 |
836.2 |
773.2 |
|
| R3 |
817.0 |
802.6 |
763.9 |
|
| R2 |
783.4 |
783.4 |
760.9 |
|
| R1 |
769.0 |
769.0 |
757.8 |
776.2 |
| PP |
749.8 |
749.8 |
749.8 |
753.4 |
| S1 |
735.4 |
735.4 |
751.6 |
742.6 |
| S2 |
716.2 |
716.2 |
748.5 |
|
| S3 |
682.6 |
701.8 |
745.5 |
|
| S4 |
649.0 |
668.2 |
736.2 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
764.1 |
721.6 |
42.5 |
5.9% |
16.9 |
2.3% |
2% |
False |
True |
207,547 |
| 10 |
764.1 |
711.2 |
52.9 |
7.3% |
17.7 |
2.5% |
22% |
False |
False |
225,468 |
| 20 |
764.1 |
693.5 |
70.6 |
9.8% |
17.0 |
2.3% |
41% |
False |
False |
221,028 |
| 40 |
764.1 |
646.2 |
117.9 |
16.3% |
18.6 |
2.6% |
65% |
False |
False |
248,202 |
| 60 |
766.2 |
646.2 |
120.0 |
16.6% |
17.4 |
2.4% |
64% |
False |
False |
208,241 |
| 80 |
766.2 |
646.2 |
120.0 |
16.6% |
16.2 |
2.2% |
64% |
False |
False |
156,226 |
| 100 |
766.2 |
646.2 |
120.0 |
16.6% |
15.6 |
2.2% |
64% |
False |
False |
125,060 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
778.8 |
|
2.618 |
761.0 |
|
1.618 |
750.1 |
|
1.000 |
743.4 |
|
0.618 |
739.2 |
|
HIGH |
732.5 |
|
0.618 |
728.3 |
|
0.500 |
727.1 |
|
0.382 |
725.8 |
|
LOW |
721.6 |
|
0.618 |
714.9 |
|
1.000 |
710.7 |
|
1.618 |
704.0 |
|
2.618 |
693.1 |
|
4.250 |
675.3 |
|
|
| Fisher Pivots for day following 21-Aug-2008 |
| Pivot |
1 day |
3 day |
| R1 |
727.1 |
733.0 |
| PP |
725.6 |
729.5 |
| S1 |
724.1 |
726.1 |
|